Mark, the "http://www.python.org/sax/properties/encoding" is not meant to be a web page. It's like an attribute name, but fully qualified so that attributes given by different organizations don't clash.
(There may be different usages of "encoding": is it the one set by the user, or the one determined by the parser? according to Python docs, here it's both)

Python's default Expat parser doesn't support this feature, so the present behavior is correct.
Proper support should not be difficult to add, with a XmlDeclHandler.